► This dissertation consists of three independent papers. Collectively they attempt to formalize a notion of model “overfit” – the idea that a large econometric…
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▼ This dissertation consists of three independent papers. Collectively they attempt to formalize a notion of model “overfit” – the idea that a large econometric model can appear to fit a particular dataset well simply because it is large. This behavior is modeled by using asymptotic approximations that allow the number of regressors in a linear regression model to increase with the number of total observations. The first chapter looks at the behavior of the F-test under this asymptotic theory, shows that the F-test is generally invalid for these overfit models, and derives a correction that gives a valid test statistic. The second chapter looks at the behavior of pseudo out-of-sample comparisons of forecasting models under this asymptotic theory, shows that this asymptotic theory resolves some technical issues that lead to nonstandard test statistics, and gives conditions under which standard procedures remain valid for overfit models. The third chapter conducts an empirical comparison of several methods for comparing forecasting models out-of-sample.

► My dissertation examines issues of accessibility, innovation and cost, and the role of public policy in the United States health care system. Chapter 1…
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▼ My dissertation examines issues of accessibility, innovation and cost, and the role of public policy in the United States health care system. Chapter 1 explores the effects of Medicaid and State Children's Health Insurance Program (SCHIP) pregnancy eligibility expansions occurring from 1992 to 2005 on public and private health insurance coverage, prenatal care, and health outcomes. Recent public health insurance expansions for pregnancy have extended eligibility to women with family incomes over twice the federal poverty level. However, pregnancy program expansions have received little attention in the literature, due in part to a lack of pregnancy health insurance data. I use two novel sources of data to study the impacts of pregnancy eligibility expansions. The Centers for Disease Control- Pregnancy Risk Assessment Monitoring System (PRAMS) and California Birth Cohort birth certificate data are rich sources of birth data with detailed information on pregnancy health insurance coverage, prenatal care use, and infant and maternal health outcomes. My estimation of event study models shows that public coverage follows an upward trend following eligibility expansions, and that this coincides with smaller but imprecisely measured decreases in private health insurance. Simulated instrumental variables regression results imply public health insurance take-up rates between 14 and 19 percent. However, the private coverage estimates imply that an imprecisely measured but significant portion of the increase in public coverage comes from women who previously would only have private health insurance during pregnancy. Public eligibility expansions increase participation in the WIC program, but there is little evidence that program expansions improve overall prenatal care utilization or health outcomes. Chapter 2 (joint work with Christopher R. Knittel) explores how changes in pharmaceutical patent policy and the structure of health insurance and pharmaceutical markets have affected the use of prescription drugs. The Hatch Waxman Act of 1984 considerably lowered the barriers to entry for generic drug manufacturers. Following the Act, branded drugs coming off patent lost considerable market share to cheaper generic competition. At the same time, brand manufacturers have increasingly used marketing to promote use of newer branded therapies to patients and physicians. Health insurers have responded to increasing drug costs by imposing cost-sharing measures to encourage use of generic therapies over more expensive new branded drugs. In this chapter, we use generic entry as a natural experiment to study how the opposing forces of more restrictive prescription drug plans and increasing pharmaceutical marketing have affected prescription drug utilization patterns. We study the effects of generic entry using case studies and event study models that exploit the differential timing of generic entry across drug molecules. Our analysis examines drugs treating hypertension, high blood pressure, type 2 diabetes…

► In the motion picture industry most actors and actresses work for low fees, but a small group can command compensations of millions of dollars…
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▼ In the motion picture industry most actors and actresses work for low fees, but a small group can command compensations of millions of dollars per movie. In the first chapter I test the consumer learning hypothesis: consumers choose films using information from other films with the same star actor or actress. Using DVD sales data for a sample of 206 films, I show that the release of a new movie increases sales of old movies with the same star. However, this result is driven by a subset of sequels and Oscar nominated films. I conclude that some effect other than consumer learning must drive the presence of superstars in the motion picture industry. In chapter two I provide a novel explanation for the optimality of the sequential release by showing that sequential release can be the equilibrium of a signaling game. Theater owners must choose which films to screen and studios signal which films are of high quality by delaying the home video release of those films until after the theatrical run. Sequential release is an effective form of signaling because it is costly. The properties of the equilibrium of the DVD release timing game I describe suggest that a theatrical premiere with release in other markets no sooner than three months later will remain the norm for big budget movies. One important economic consequence of the Internet and information technology has been the reduction in the fixed costs of distribution and a consequent increase in product variety. In chapter three I investigate the effect on the welfare of producers of creative content. I identify a set of books sold on Amazon.com for which the author's revenue can be easily computed. I use this data to parameterize a model of author entry and then estimate the welfare gains of authors and consumers from Print-on-Demand (POD) technology.

► Decision making under uncertainty involves a personal belief about the nature of the outcomes. Most economic agents, however, have difficulty gathering information about the…
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▼ Decision making under uncertainty involves a personal belief about the nature of the outcomes. Most economic agents, however, have difficulty gathering information about the future. Despite this difficulty, economists tend to base their insights on models that assume completely informed agents. This dissertation contributes to the existing literature by studying the expectations of students and their families about the value of education. To achieve this I use both an innovative methodology and new data. Chapters 1 and 2 use a panel survey, the Beginning School Study (1982-2002), with extensive information on the beliefs of a sample of families from the city of Baltimore. I then use this data to show how parents and students update their beliefs on their academic ability and the value of education, from first grade until the end of high school. Chapter 1 studies how parents and students form their beliefs about the academic grades of their children. I find that families are biased towards expecting higher grades, especially in the case of black parents and parents with boys. Families' ability to predict future scores improved substantially during middle school and high school, with agents' prediction errors having both a lower bias and a lower variance. In Chapter 2 I show that students in elementary school and their parents believe the wage returns to education are much smaller than the ones estimated by labor economists. Families of lower parental education have particularly low expectations of the wage benefits of education. However, as students age, families update their beliefs about the wage returns to education and their predictions become more accurate. Graduate studies have become increasingly more important in the American labor market. In Chapter 3 I analyze the expectations of Kellogg MBA students, regarding their future lifetime incomes with and without an MBA degree. I find that MBA students perceive significant income gains and higher returns to work experience from getting an MBA degree. Overall, my dissertation concludes that students tend to be overoptimistic about their outcomes. I also find that students are very uncertain about outcomes happening several years in the future.

► The purpose of this project is to examine the benefits of basing economic analysis of accident law on the notion that individuals form a…
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▼ The purpose of this project is to examine the benefits of basing economic analysis of accident law on the notion that individuals form a spontaneous order as they respond to the institution of tort law, each other, and their environment. Furthermore, I examine the efficacy of agent-based modeling as an analytical tool that exploits this realization. I discuss the theoretical implications of the neoclassical analytical perspective and offer an alternative based upon the insights of spontaneous order economics. I develop an artificial society in which virtual agents pursue productive, though inherently accident prone, activity. The accidents that occur are chance encounters and agents bear a private cost for engaging in behavior that reduces their likelihood. First, I employ empirical techniques based on neoclassical theory and fit regression models to simulation data in order to determine the wealth maximizing behavior under various liability rules. I confirm some of the major theoretical conclusions but I also identify several common simplifying assumptions that may adversely affect the accuracy of conclusions under certain circumstances. I contrast the mainstream mode of analysis with an evolutionary approach that uses a computational model comprised of heterogeneous agents that implement satisficing algorithms to select strategies on the basis of their individual experience. The power of this perspective is not simply that it assists in developing a genetic-causal explanation as a means for evaluating the desirability of various liability rules, but it enables the detailed exploration of population dynamics and a close examination of out of equilibrium behavior. I find that for the artificial society under consideration, system level steady-state does not necessarily imply agent equilibrium, agents often elect to be careful even when the neoclassical theory predicts otherwise, and negligence rules differ in their ability to rid society of negligent behavior. Ultimately, I conclude that the emergent approach is complementary to the mainstream neoclassical perspective and holds the promise of opening up new avenues for future research.

► How do firms react to declining demand? One of the strategies firms could take is to exit the industry. In the current business environment,…
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▼ How do firms react to declining demand? One of the strategies firms could take is to exit the industry. In the current business environment, however, the exit strategy might not be realistic because "[i]n the modern industry, fixed and sunk costs form a relatively large proportion of overall costs which make capacity reduction difficult and costly" (Hausman, 1995). This dissertation focuses on the strategic use of price when demand is declining. While pricing is a fundamental strategy of firms, it has not been extensively studied in the existing literature on declining industries. However, this strategy could have a large impact because the industry is usually large when it is about to decline. In this situation, incumbent firms could retain or increase profit by controlling price. From an analytical perspective, the investigation of pricing highlights a new economic interaction: firms and consumers. In the existing literature, declining demand is assumed to be exogenous and unaffected by firm behavior. However, when firms set price as their strategy, they can, at least to some extent, control declining demand. Studying price setting enriches our understanding of firm behavior in declining industry. This dissertation comprises three papers. The first paper explores some consequences of declining demand in the U.S. market for photographic film due to the introduction of the digital camera. One of the main results is that the demand for film becomes more price-inelastic due to the advent of the digital camera. This causes firms to have two counteracting pricing motives: pricing higher in order to exploit price-inelastic consumers and pricing lower to delay the time at which a consumer switches to a digital camera. The purpose of the second and third papers is to investigate what theory predicts about price dynamics with declining demand. To this end, the former paper constructs a dynamic model in which a monopoly firm produces an old technology product and its demand declines as a new product appears and spreads among consumers. The paper demonstrates that the price declines over time but its path could be nonmonotonic depending on the distribution of consumers' characteristics. The third paper extends the dynamic model to allow for duopoly firms, and shows the nonmonotonicity of the price path. Through these studies, we identify a systematic property of the price path: the path could be divided into three phases, and the counteracting pricing motives explain each phase.

► The chapter on income inequality uses the Solow Model of economic growth to model the evolution of inequality over time. In steady state, differences…
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▼ The chapter on income inequality uses the Solow Model of economic growth to model the evolution of inequality over time. In steady state, differences in household saving rates generate differences in household capital income. Households that save more accumulate more capital and have higher steady-state income. Tax policy affects the distribution of income through its influence on household saving rates. Increasing the tax rate on labor income causes a greater percentage decrease in the steady-state saving rates of relatively low savers, thus increasing pre-tax income inequality. Conversely, increasing the tax rate on capital income reduces pre-tax income inequality because it causes a greater percentage decrease in the steady-state saving rates of relatively high savers. Empirical tests of the model using data from the March Current Population Survey and NBER’s TAXSIM model suggest that higher taxes on wage income are associated with higher levels of income inequality. A high degree of correlation among the average marginal tax rates prevents us from drawing inferences about the effect that taxation of capital income has on inequality. The chapter on health insurance examines states’ efforts to make health insurance more accessible and affordable to small employers by restricting insurers’ ability to set premium rates on the basis of health status and other factors which predict a group’s future medical needs. The chapter presents evidence that rating restrictions reduce health insurance coverage rates and increase market concentration in the insurance industry. From the perspective of a public policymaker however, such reforms may still be desirable if they increase the ability of less healthy individuals to obtain and afford health insurance coverage.

Doviak, E. (2010). Essays on economic policy| Income inequality and health insurance. (Thesis). City University of New York. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=3412086

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Doviak, Eric. “Essays on economic policy| Income inequality and health insurance.” 2010. Thesis, City University of New York. Accessed November 22, 2018.
http://pqdtopen.proquest.com/#viewpdf?dispub=3412086.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

► My dissertation is a theoretical and empirical study of the effects of portfolio diversification on oligopolistic industries. The first chapter serves as the introduction,…
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▼ My dissertation is a theoretical and empirical study of the effects of portfolio diversification on oligopolistic industries. The first chapter serves as the introduction, and explains how the prominent role of institutional investors in US stock markets, who tend to own more diversified portfolios than individual households, has increased the relevance of portfolio diversification for the analysis of market structure. In the second chapter I develop a model of oligopoly with shareholder voting. Instead of assuming that firms maximize profits, the objective of the firms is decided by majority voting. This implies that portfolio diversification generates tacit collusion. In the limit, when all shareholders are completely diversified, the firms act as if they were owned by a single monopolist. The third chapter introduces the model in a general equilibrium context. In a model of general equilibrium oligopoly with shareholder voting, higher levels of wealth inequality and/or foreign ownership lead to higher markups and less efficiency. In the fourth chapter, I study the evolution of shareholder networks for all publicly traded firms in the United States between 2000 and 2011. The most important conclusion of the analysis is that the density of the network has more than doubled over the period, and this is robust to the threshold level chosen. In the fifth chapter, I study the empirical relationship between common ownership and interlocking directorships. Firm pairs with higher levels of common ownership are more likely to share directors, and their distance in the network of directors is smaller on average. The evidence presented in this chapter suggests that institutional investors play an active role in corporate governance. In particular, it supports the hypothesis that institutional shareholders have influence on the board of directors. In the sixth chapter, I study empirically the relationship between networks of common ownership and market power. Industries with higher levels of common ownership have higher markups on average. The last chapter concludes with a discussion of policy implications and potential directions for further research. Based on the theory, I propose a new Herfindahl index adjusted for portfolio diversification.

► An endogenous liquidity constraint is applied to a Small open economy Real Business Cycle model driven by shocks to productivity and the world interest…
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▼ An endogenous liquidity constraint is applied to a Small open economy Real Business Cycle model driven by shocks to productivity and the world interest rate. The approach allows the reproduction of distinctive features of the crises in the short run, without introducing significant distortions in the long-term properties of the economy. Two variants of the model are considered: a one-sector model with a single tradable good, and a two-sector model which features tradable and non-tradable goods (both of which are produced). The level of the capital stock was found to have a significant effect on the short-run reaction of the liquidity constrained economy to the shocks in both the one- and two-sector models. For the two-sector economy, the other new effect that is reproduced and analyzed is a significant decrease in the tradables production when the constraint becomes binding. The effect of the tightness of the constraint on the long-term properties of the model is analyzed; the major difference between the models is the direction of the GDP change.

► This dissertation produces a new set of orthogonal governance measures based on expert assessment data. Chapter 1 constructs the measures using a factor model.…
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▼ This dissertation produces a new set of orthogonal governance measures based on expert assessment data. Chapter 1 constructs the measures using a factor model. Chapter 2 applies the measures to study comparative economic development. Chapter 3 conducts a number of robustness checks on results from the first two chapters. Chapter 4 uses Monte Carlo experiments to assess potential inaccuracy in my governance measures caused by the application of the maximum-likelihood estimator to polytomous data.

Givens, D. M. (2011). Four essays in the measurement of governance institutions. (Thesis). University of Maryland, College Park. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=3443558

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Givens, David Michael. “Four essays in the measurement of governance institutions.” 2011. Thesis, University of Maryland, College Park. Accessed November 22, 2018.
http://pqdtopen.proquest.com/#viewpdf?dispub=3443558.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Givens DM. Four essays in the measurement of governance institutions. [Internet] [Thesis]. University of Maryland, College Park; 2011. [cited 2018 Nov 22].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3443558.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Givens DM. Four essays in the measurement of governance institutions. [Thesis]. University of Maryland, College Park; 2011. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3443558

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

University of Rochester

131.
Mustre-del-Rio, Jose.
Lessons for the Aggregate Labor Market from Employment and Turnover Patterns Across Workers.

► Economists often analyze economies populated by identical agents due to their tractability. However, this practice leads to discrepancies between individual and aggregate level observations.…
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▼ Economists often analyze economies populated by identical agents due to their tractability. However, this practice leads to discrepancies between individual and aggregate level observations. Most prominently, these models overlook large differences in behavior and outcomes across workers. This dissertation fills this gap by examining the implications of individual employment and turnover patterns for the aggregate labor market. The first chapter of this dissertation analyzes turnover differences across workers over the business cycle and their implications for overall job duration. Evidence from the National Longitudinal Survey of The Youth (NLSY) 1979-2006 suggests that average (overall) job duration is pro-cyclical, once controlling for worker composition. At the exit margin, jobs ending in recessions are of systematically shorter duration than jobs ending in booms. This result however is driven by high turnover workers who disproportionately account for exits in a recession. At the entry margin, jobs starting in recessions are expected to be of shorter duration. This result is not compositional. Recessions tend to increase the likelihood of any new job ending even when accounting for worker heterogeneity. The second chapter of this dissertation explores the implications of individual labor supply heterogeneity for the aggregate labor supply elasticity. It presents a heterogeneous agent economy with indivisible labor where agents differ in their disutility of labor and market skills. The model is estimated via indirect inference using observations on average employment and wage rates across individuals in the NLSY. The elasticity of aggregate employment in the model is 0.71, which is low compared to the literature. The results suggest that the previous literature generates large aggregate labor supply elasticities by ignoring individual labor supply differences. The third chapter is a natural extension of the second. It addresses what are the resulting aggregate employment fluctuations in an economy where agents differ in their labor supply. The results of this chapter suggest that allowing for individual labor supply heterogeneity has profound cyclical effects. The model predicts that aggregate employment fluctuations are small because individuals with very inelastic labor supply contribute disproportionately to overall employment over the business cycle.

Mustre-del-Rio, J. (2011). Lessons for the Aggregate Labor Market from Employment and Turnover Patterns Across Workers. (Thesis). University of Rochester. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=3478340

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mustre-del-Rio, Jose. “Lessons for the Aggregate Labor Market from Employment and Turnover Patterns Across Workers.” 2011. Thesis, University of Rochester. Accessed November 22, 2018.
http://pqdtopen.proquest.com/#viewpdf?dispub=3478340.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mustre-del-Rio J. Lessons for the Aggregate Labor Market from Employment and Turnover Patterns Across Workers. [Thesis]. University of Rochester; 2011. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3478340

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

► Agriculture remains a key component of economic development, but the methodology for how development policies are determined has changed for developing countries. In the…
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▼ Agriculture remains a key component of economic development, but the methodology for how development policies are determined has changed for developing countries. In the last decade, the focus of economic growth in developing countries has shifted from country-wide prescriptions to testable micro-development programs at the local level. As international development focuses in on local programs, social networks have been identified as a key component for their effective deployment. This dissertation analyzes the effects of a social network-based intervention. It contributes to the economics literature on identifying social network effects by implementing a randomized encouragement design to develop social capital, while simultaneously introducing a new method of development training. The program implemented here is comprised of two parts, and was conducted with female-headed households in rural Uganda, that were growing a relatively new cash crop, cotton. The first part conducted social network-based information games in 20 sample villages, in which each participant was trained in one aspect of cultivating cotton, and encouraged to attain a full set of knowledge on growing cotton through her assigned learning networks. They were presented with two different incentives schemes for accumulating information: competitive and team incentives. The second portion of the program paired the surveyed individuals at random with other game participants. These pairs were encouraged to develop team goals across the growing season and a time schedule for networking as well as update and share their learned information from the games on a regular basis. The estimated effects of the SNI, which comprise this dissertation, include both the effects from the information games and the effects of the mentored pairing; that is, the impact of acquiring one information point and one new link. I compare the effects of this program to a standard agricultural training program that was concurrently conducted during this research, in which extension agents taught the same information that was presented in the information games but with a traditional classroom-based teaching method. My games analysis shows that females learn more when presented with competitive incentives. The total number of learning points learned during competitive incentives first order stochastically dominates the total number of learning points learned during team incentives. However, for the dissemination of one specific information point, team incentives are better at ensuring that a unique information point reaches the entire group. Difference in difference estimates, controlling for the training program, show that the overall SNI program had significant effects on the average farmer, with diminishing returns for higher yielding farmers. I find that these average effects are comparable to the effects of the conventional training program, but at a fifth of the implementation cost. A closer examination shows that the SNI program has its most…

► In the absence of markets for environmental quality, researchers resort to stated and revealed preference techniques to estimate the benefits of environmental programs. One…
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▼ In the absence of markets for environmental quality, researchers resort to stated and revealed preference techniques to estimate the benefits of environmental programs. One of the most widely used revealed preference approaches is hedonic property value models, where the value of an environmental commodity is inferred from its impact on home prices. There are, however, two practical issues in obtaining valid welfare estimates. The first is omitted variable bias, where the estimated impacts are confounded by omitted characteristics of the housing bundle. The second is whether the measure of environmental quality assumed in the hedonic models is the one that buyers and sellers in the market are aware of, and care about. Stated preference approaches offer an opportunity to examine and, in some cases, circumvent these issues. I present three studies exploring the use of hedonic and stated preference methods in estimating the impacts of environmental disamenities on home values. The first study is an extensive hedonic analysis of leaking underground storage tanks (LUSTs). I construct a quasi experiment and implement several econometric techniques to address omitted variable bias, paying special attention to alternative environmental quality measures. I then present two stated preference studies, where the disamenities are conveyed using clearly specified quantitative measures. The first study focuses on LUSTs and groundwater pollution, which is expressed as parts-per-billion of benzene. This reflects the actual information given to households in the hedonic study. The second stated preference study asks respondents to choose among hypothetical homes, which vary in terms of price and mortality risks associated with local air pollution. In my hedonic application I find that LUSTs generally have little effect on home values. I argue that this is because people typically do not have much information regarding this disamenity. This conjecture is confirmed by the significant depreciation at homes where households are well informed, as well as in the stated preference studies, where respondents are informed as part of the study design. While hedonics is a useful non-market valuation tool, in some applications pursuing both approaches may help us more accurately estimate the benefits of environmental programs.

► This dissertation studies the optimal regulatory response to financial crises. The first two chapters focus on prevention of financial crises, and the third chapter…
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▼ This dissertation studies the optimal regulatory response to financial crises. The first two chapters focus on prevention of financial crises, and the third chapter focuses on resolution of financial crises. Chapter 1 develops a quantitative theory of overborrowing based on a systemic risk externality in an emerging market economy. In the model, debt denominated in foreign currency and balance sheet constraints cause depreciations of the real exchange rate to be contractionary. The externality arises because when private agents take debt in good times, they do not internalize that during bad times, the reduction in demand for consumption causes a higher depreciation of the real exchange rate and a further tightening of balance sheet constraints across the economy. The quantitative analysis suggests that there is an important role for policies that “throw sand in the wheels of international finance.” Chapter 2 analyzes an externality that arises because of a feedback loop between asset prices and collateral constraints in a dynamic stochastic general equilibrium model calibrated to US data. In the model, a collateral constraint limits private agents not to borrow more than a fraction of the market value of their collateral assets, which take the form of an asset in fixed aggregate supply (e.g. land). When the collateral constraint binds, fire-sales of assets cause a Fisherian debt-deflation spiral that causes asset prices to decline and the economy's borrowing ability to shrink in an endogenous feedback loop. The externality produces deeper recessions and a larger collapse in asset prices compared to the constrained efficient allocations. Chapter 3 studies the macroeconomic and welfare effects of government intervention in credit markets during financial crises. A DSGE model to assess the interaction between ex-post interventions in credit markets and the build-up of risk ex ante is developed. During a systemic crisis, the central bank finds it beneficial to bail out the financial sector to relax balance sheet constraints across the economy. Ex ante, this leads to an increase in risk-taking, making the economy more vulnerable to a financial crisis. We ask whether the central bank should commit to avoiding a bailout of the financial sector during a systemic crisis. We find that bailouts can improve welfare by providing insurance against systemic financial crises.

► The first chapter fills a gap in the literature by examining the variation through time in the credit spread on high-yield bonds. I use…
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▼ The first chapter fills a gap in the literature by examining the variation through time in the credit spread on high-yield bonds. I use methods common in the equity market literature to identify the portion of the credit spread attributable to the expected excess return on high-yield bonds and label it the "credit risk premium." I demonstrate that the credit risk premium predicts excess returns on high-yield bonds and its variation can be explained by classical measures of economic risk. The second chapter asks "what do we really know about the rise in U.S. residential mortgage defaults?" My answer: not as much as we may think. I use loan category data from the Federal Housing Finance Administration (FHFA) to test and reject the hypothesis that the rise in default volumes and subsequent failure of Fannie Mae and Freddie Mac was caused by an increase in the share of "subprime" mortgages. I also demonstrate that the product-specific features of Alt-A and interest-only mortgages are unlikely to be an exogenous source of variation in default performance because these mortgages were concentrated in "hot" housing markets that experienced the largest price increases and subsequent declines. In the third chapter, I develop a theory of an endogenous convenience yield to homeownership. An owner-occupier derives a flow of services unavailable to the renter of an otherwise identical residence. Among these are the ability to enter into a long-run housing contract, the ability to customize the residence to the precise tastes of the owner-occupier, the non-pecuniary benefits associated with homeownership (child development, stability, social status, etc.), and the ability to pledge the house as collateral for external finance to smooth lifetime non-housing consumption. The logic of an endogenous convenience yield is that house price variation unrelated to changes in equivalent rental value can be explained by changes in the value of these services.

► Even though environmental regulation can affect the product mix decisions of manufacturers, the environmental economics literature contains almost no research in this area. My…
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▼ Even though environmental regulation can affect the product mix decisions of manufacturers, the environmental economics literature contains almost no research in this area. My research contributes to the limited literature, and fills the gap in the literature for U.S. manufacturers, by providing empirical evidence of the effect of environmental regulation on the product mix of U.S. plants in the pulp, paper, and paperboard industries. Given that many U.S. environmental policies attempt to alter emissions by altering production processes rather than product mixes, the findings in this research are useful for future environmental policies. I first examine the determinants of environmental performance of plants, where environmental performance is measured using two approaches. The first approach is based on chemical inputs and measures environmental performance by the quantity of pollution-intensive and non-pollution-intensive chemicals consumed. The second approach is based on pollution output and measures environmental performance by air pollution emissions. Using the first approach, I find that more productive plants with more water pollution abatement capital expenditures consume less pollution-intensive chemicals. Using the second approach, I find that plants located in counties designated non-attainment for ground-level ozone (O3) have 53 percent lower emissions of volatile organic compounds (VOCs). Finally, using the two approaches, I develop a method for classifying products as pollution-intensive and non-pollution-intensive. In the next chapter, I examine the effect of the U.S. Environmental Protection Agency's Pulp and Paper Cluster Rule on product mix. The Cluster Rule combines regulatory requirements from the Clean Air Act and Clean Water Act, and calls for affected plants to alter their bleaching process away from chlorine-based bleaching agents. In addition to, or in place of, adopting the cleaner technology, plants may choose to comply with the regulation by reducing output of bleached products or dropping some of these products entirely. Using a difference-in-difference-in-differences approach, I find that plants facing full Cluster Rule regulation are more likely to drop bleached products relative to unbleached products compared to plants facing only partial Cluster Rule regulation. Furthermore, I find evidence that plants facing only partial Cluster Rule regulation alter their product portfolios toward bleached products. Finally, I use ground-level ozone (O3) county non-attainment status as a proxy for the stringency of environmental regulation to test further how environmental regulation affects product mix decisions. Using fixed effects, I find that plants in O3 non-attainment counties are more likely to drop dirty (VOC-emitting) products, less likely to drop clean (non-VOC-emitting) products, less likely to add dirty products, and more likely to add clean products. Using propensity matching methods, I find that plants in O<sub>…

► The thesis consists of two essays in economic theory. The first presents a model of quantity competition in networked markets. The purpose of this…
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▼ The thesis consists of two essays in economic theory. The first presents a model of quantity competition in networked markets. The purpose of this study is: (1) to characterize prices and flows in networked markets in which equilibrium dictates who buys and who sells in an economy; and (2) to provide necessary and sufficient conditions for a competitive equilibrium to arise in such markets. The second essay discusses how the ability to jointly rule out actions affects the analysis of a strategic form game. The study shows that if players have sufficiently many instances in which to agree on which actions to rule out, then any individually rational allocation can be implemented as a subgame perfect equilibrium of a joint commitment game.

► This dissertation consists of three chapters on questions in Environmental Economics, addressing policy and health issues in indoor and outdoor environments. In the first…
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▼ This dissertation consists of three chapters on questions in Environmental Economics, addressing policy and health issues in indoor and outdoor environments. In the first chapter, I explores price and quantity policy solutions to externalities that arise from private decisions made over time, focusing on resource extraction as a specific example. In the U.S., mining causes more pollution than any other single industry. I show how tax policy can optimally address a flow externality associated with resource extraction when the policymaker faces asymmetric information in the short run. Chapter 2 investigates whether ordinary exposure to a common indoor air pollutant—Nitrogen Dioxide (NO2)—affects respiratory health. About 40 percent of occupied homes in the U.S. use gas stoves for cooking, which produce NO2 as a byproduct of combustion (US Census, 2006), and peak concentrations in homes may reach above 900 ppb when a gas stove is used for cooking (Dennekamp <i>et al.,</i> 2001). Permanent or fatal lung damage occurs at NO2 concentrations greater than 1000 ppb (Samet and Utell, 1990). Previous studies find mixed evidence of negative effects from indoor NO2 (Basu and Samet, 1999), but exposure may be endogenous in these analyses. I address this problem by developing a physical model of indoor NO2 concentrations that depends on ventilation decisions and housing characteristics and estimate it using data from the third wave of the National Health and Nutrition Examination Survey. In every model I consider, I find no significant effects of gas stoves on respiratory outcomes. In the final chapter, I combine data on state and local tobacco control ordinances from Americans for Non-smokers Rights Tobacco US Tobacco Control Laws Database with a sample of 35 million births in the U.S. to examine the impact of smoking bans on birth weight and related outcomes. Using difference-in-difference techniques, I identify the effects of state bans net of local bans, as well as the effects of local bans net of state bans. The results suggest less restrictive bans do more to improve birth outcomes than "100% smokefree" bans do, particularly in urban settings.

Briggs, R. J. (2009). Essays on the economics of indoor and outdoor environments. (Thesis). The University of Texas at Austin. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=3372672

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Briggs, Ronald Joseph. “Essays on the economics of indoor and outdoor environments.” 2009. Thesis, The University of Texas at Austin. Accessed November 22, 2018.
http://pqdtopen.proquest.com/#viewpdf?dispub=3372672.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Briggs RJ. Essays on the economics of indoor and outdoor environments. [Internet] [Thesis]. The University of Texas at Austin; 2009. [cited 2018 Nov 22].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3372672.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Briggs RJ. Essays on the economics of indoor and outdoor environments. [Thesis]. The University of Texas at Austin; 2009. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3372672

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

► Health care expenditures have risen dramatically in the last several decades. Various agents have responded by reforming their practices in an effort to protect…
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▼ Health care expenditures have risen dramatically in the last several decades. Various agents have responded by reforming their practices in an effort to protect their budgets. My dissertation studies the implications of two of these changes on both quality and expenditure dimensions. The first chapter introduces and briefly discusses these topics. The second chapter discusses the implications of hospital mergers. A large body of research has examined their financial consequences, while little has analyzed the effect on patient health and experiences. This chapter aims to fill this gap, utilizing 17 years of hospital discharge data to study the impact of 40 California hospital mergers on changes in treatment choices and health outcomes. I use an empirical strategy that is based on geography of residence to enable a market level analysis. My findings indicate that hospital mergers result in increased utilization of intensive treatments for heart disease, such as bypass surgery and angioplasty. This result could be driven by increased access to intensive procedures as well as a change in hospital treatment practices. I also find evidence of a small increase in inpatient mortality which could be driven by an increase in average travel time to the nearest facility offering cardiac services. In chapter three, co-authored with Mark Duggan, we analyze the implications of a widespread Medicaid reform: contracting out health care treatment of Medicaid recipients to managed care organizations. State governments rapidly shifted Medicaid enrollees into managed care during the 1990s, perhaps partly as a response to increasing Medicaid expenditures. This reform has not previously been studied at the national level. We use state-level aggregate administrative data for the years 1991-2003 in conjunction with a unique data set on mandatory managed care enrollment policies to estimate the average national impact. Results suggest that this policy may have increased the expense of the Medicaid program, particularly for HMO-style insurance plans. We extend our analysis to investigate the impact of these policies on enrollment decisions. Using CPS data, we find mixed responses to mandatory managed care policies, though all changes in take-up were small and did not appear to increase uninsurance rates.

► This thesis analyzes a topic in each of the three areas of international economics, namely international macroeconomics, international trade, and international finance. In the…
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▼ This thesis analyzes a topic in each of the three areas of international economics, namely international macroeconomics, international trade, and international finance. In the first chapter I investigate the pricing behavior of firms. Using the introduction of the euro as a natural experiment, I find that import price volatility among Eurozone members dropped dramatically after the introduction of the euro. Additionally, I show that the magnitude of the drop commensurate with the drop in exchange rate volatility. On the other hand, when looking at exports, I find that the introduction of the euro had no impact on export price volatility. The results support the presence of pricing in the currency of the producer. In the second chapter I present a model of heterogeneous firms with endogenous choice of quality upgrades. The model yields three types of firms: the firms at the lower end of the productivity distribution that exit the market, the firms in the middle that produce quantity and choose no quality upgrades, and the firms at the high end of the distribution that produce and choose quality upgrades. For rich and/or large countries, the share of firms producing quality is higher than in poor and/or small countries. Furthermore, the amount of quality upgrade chosen by a quality producing firm is higher in rich and/or large countries. In the third chapter I investigate whether forecasting in data-rich environments can yield better out-of-sample forecasts. Following the work of Stock and Watson (2002), Bernanke and Boivin (2003) and Bernanke, Boivin and Eliasz (2005), I construct factor-augmented autoregressive models and use them to perform out-of-sample forecasts for five dollar-denominated exchange rates (JPY, CAD, GDM, GBP, and FFR). I find that factor-augmented models estimated in a data-rich environment still fail to outperform the random walk.

► Several semiparametric estimators recently developed in the econometrics literature are based on the rank correlation between the dependent and explanatory variables. Examples include the…
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▼ Several semiparametric estimators recently developed in the econometrics literature are based on the rank correlation between the dependent and explanatory variables. Examples include the maximum rank correlation estimator (MRC) of Han [1987], the monotone rank estimator (MR) of Cavanagh and Sherman [1998], the pairwise-difference rank estimators (PDR) of Abrevaya [2003], and others. These estimators apply to various monotone semiparametric single-index models, such as the binary choice models, the censored regression models, the nonlinear regression models, and the transformation and duration models, among others, without imposing functional form restrictions on the unknown functions and distributions. This work provides several new results on the theory of rank-based estimators. In Chapter 2 we prove that the quantiles and the variances of their asymptotic distributions can be consistently estimated by the nonparametric bootstrap. In Chapter 3 we investigate the accuracy of inference based on the asymptotic normal and bootstrap approximations, and provide bounds on the associated error. In the case of MRC and MR, the bound is a function of the sample size of order close to <i>n</i><sup> –1/6</sup>. The PDR estimators, however, belong to a special subclass of rank estimators for which the bound is vanishing with the rate close to <i> n</i><sup>–1/2</sup>. In Chapter 4 we study the efficiency properties of rank estimators and propose weighted rank estimators that improve efficiency. We show that the optimally weighted MR attains the semiparametric efficiency bound in the nonlinear regression model and the binary choice model. Optimally weighted MRC has the asymptotic variance close to the semiparametric efficiency bound in single-index models under independence when the distribution of the errors is close to normal, and is consistent under practically relevant deviations from the single index assumption. Under moderate nonlinearities and nonsmoothness in the data, the efficiency gains from weighting are likely to be small for MRC in the transformation model and for MRC and MR in the binary choice model, and can be large for MRC and MR in the monotone regression model. Throughout, the theoretical results are illustrated with Monte-Carlo experiments and real data examples.

► Road users have heterogeneous preferences regarding travel choices, such as time-of-day to travel, routes, and willingness to carpool. Understanding the variations in preferences would…
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▼ Road users have heterogeneous preferences regarding travel choices, such as time-of-day to travel, routes, and willingness to carpool. Understanding the variations in preferences would allow better modeling of the temporal distribution of travel demand and the development of pricing policies. This dissertation examines the demographic and socioeconomic profiles of motorists at different times of day at six locations in southern California by using on-road remote-sensing measurements and license plates images obtained in 2007 and 2008 by the California South Coast Air Quality Management District (SCAQMD). The remote sensing data provide license plate images in addition to speed, time to the second, and emissions. By matching the license plate images to California Department of Motor Vehicles (DMV) registration records, anonymized individual vehicle ownership records can be obtained. The missing demographic and socioeconomic profiles of vehicle owners are supplemented with census data at the spatially fine level of census block group. In contrast to person-based methods like traditional travel surveys, remote sensing methods do not track individuals' behavior over a day (or longer), but provide several advantages: 1) the precise time log of the trips; 2) fewer missing data since correct license numbers are registered for most of the vehicles passing a monitoring site; and 3) data can be acquired for any desired length of monitoring time at minimal cost. From 98 remote-sensing emissions monitoring sites, located for the SCAQMD at highway entrances and interchanges with the hope of identifying gross emitters, six sites were chosen for this dissertation for a detailed analysis. Three of these six sites were in Los Angeles County and three in Orange County. The selected sites experienced some of the worst congestion in Los Angeles and Orange counties. The neighborhoods around the study sites represent different land use characteristics, such as residential, shopping, commercial and industrial. At the six study sites, for the twelve selected days, more than 63,000 vehicles were observed. For about 20 percent of these, the license plates could not be read even after visual inspection, due to reasons such as dealer license plates, obstruction of plates by hitches, and plates being out of the field of view of the cameras. Of the recorded license plates, about 93 percent of the registration addresses had a match to existing local addresses. This study examines the 40,000 personal vehicles among those matches. By examining the speed patterns of the highway ramps at the monitoring sites, peak hours at four of the six study locations have been identified. Not all the study locations share the same peak-hours pattern, however. Among the four locations with varying speed patterns over a day, three of them were compared with the highway mainline speed data in close proximity to the study sites. The two sets of speed data show close correlations. The peak hours used in this study were based…

► I study an environment in which individuals compete for status through the provision of public goods. People in the economy benefit from the public…
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▼ I study an environment in which individuals compete for status through the provision of public goods. People in the economy benefit from the public good and consume vicariously for the donor who receives a social prize. A familiar example of this phenomenon is the naming of universities and institutions after donors. The model has two stages: first, a status contest; second, a private provision of public goods (PPPG) game. In the first, the status position (prize) is publicly auctioned through contribution commitment proposals; in the second, each agent contributes to the public good at or beyond her commitment. I present conditions under which the public good is under-provided (as in a standard PPPG model) or over-provided (as in a private goods status model). With this on hand, I show that no equilibrium reaches the prize-inclusive Pareto frontier. A continuum parallel to the discrete model provides similar welfare implications, although individual motivations are different. Furthermore, I show that if the status prize is sufficiently large, an entity with the ability to redistribute wealth can lead the game to a partial optimal allocation (including private consumption and the public good, but excluding the prize) without further interference. Finally, I also show that lump sum government contributions crowd out private donations only partially.

► The purpose of this dissertation is to study the impact of U.S. federal renewable fuel regulations on energy and agriculture commodity markets and welfare.…
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▼ The purpose of this dissertation is to study the impact of U.S. federal renewable fuel regulations on energy and agriculture commodity markets and welfare. We consider two federal ethanol policies: the Renewable Fuel Standard (RFS) contained in the Energy Security and Independence Act of 2007 and tax credits to ethanol blenders contained in the Food, Conservation, and Energy Act of 2008. My first essay estimates the distribution of short-run impacts of changing federal ethanol policies on U.S. energy prices, agricultural commodity prices, and welfare through a stochastic partial equilibrium model of U.S. corn, ethanol, and gasoline markets. My second essay focuses on studying the price behavior of the renewable fuel credit (RFC) market, which is the mechanism developed by the Environmental Protection Agency (EPA) to meet the RFS. RFCs are a tradable, bankable, and borrowable accounting mechanism to ensure that all obligated parties use a mandated level of renewable fuel. I first develop a conceptual framework to understand how the market works and then apply stochastic dynamic programming to simulate prices for RFCs, examine the sensitivity of prices to relevant shocks, and estimate RFC option premiums. My third essay assesses the impact of policy led U.S. ethanol on the markets of global crude oil and U.S. gasoline using a structural Vector Auto Regression model of global crude oil, U.S. gasoline and ethanol markets.

► <i>Chapter 1. Improved measures of financial risk for hedge funds </i>. During the current financial crisis, several US and foreign banks and investment firms…
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▼ <i>Chapter 1. Improved measures of financial risk for hedge funds </i>. During the current financial crisis, several US and foreign banks and investment firms have failed due to excessive losses in some of their investments. Many of these financial institutions relied on a widely-used risk model known as the Value-at-Risk (VaR) to gauge the risks taken by their businesses. VaR does not properly account for the joint risks of investments based on more than one asset (i.e., the risk measure is not subadditive). Also, VaR computations are commonly based on the assumption that the probability distribution of asset returns is normal (Gaussian), which understates the probability of encountering large losses for some investments. To overcome the subadditivity flaw of VaR, researchers in financial economics have proposed an alternative measure, the Conditional Value-at-Risk (CVaR), which is defined as the expected losses that are strictly larger than the VaR. The CVaR measure may more appropriately compute the potential losses associated with holding two or more assets. The purpose of this paper is to evaluate two recent innovations in the financial economics literature that may help banks and investment firms to properly assess the risks they face. First, we employ Extreme Value Theory (EVT) to estimate non-normal models of the return distribution tails. In particular, we use the peaks-over-threshold (POT) method in which extremes are defined as excesses over a threshold, and we estimate the marginal (univariate) return distributions. The POT observations are used to estimate the Generalized Pareto (GP) model of the upper and lower tail areas of the return distributions. Second, we use the estimated GP models to compare the relative performance of the VaR and CVaR for assessing forward-looking risk in observed hedge fund returns. The main objective of this analysis is to evaluate competing claims from the financial economics literature about the relative importance of the VaR flaws (e.g., subadditivity) and probability model specification errors in risk measurement. <i>Chapter 2. Optimal hedging under copula models with high frequency data</i>. The current financial disturbance is partly due to the failure of risk management tools to warn of rapidly-evolving market events. One important lesson gained from this experience is that we must improve our ability to manage such financial risks by developing a better understanding of the microstructure of financial markets. Accordingly, we may be able to use models based on high frequency (e.g., intra-day) financial data to better assess the current risk of financial positions and to improve our predictions of future price movements. However, there are special problems associated with modeling high frequency data—for example, previous research shows that high frequency returns might be correlated in a nonlinear fashion. To handle these problems, we may use copula-based probability models, which represent the dependence structure and the univariate…

This paper examines salary determination in the National Football League (NFL). The heterogeneity of teams and players in the league leads to thin labor…
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▼

Economics

This paper examines salary determination in the National Football League (NFL). The heterogeneity of teams and players in the league leads to thin labor markets. Under such circumstances, the neoclassical model in which labor supply and labor demand uniquely determine wages is too simple. Instead, a competing model of salary determination is tested - McLaughlin's (1994) rent-sharing model. This is the only study of its kind to investigate salary determination at a disaggregated level for all of the non-kicking positions in the NFL. A comprehensive model of salary determination, using many unique variables, is constructed and tested for each position. Quantile regression techniques are employed to examine the bargaining aspects of the model. Although, little support is found for the rent-sharing model, this study lays the groundwork and presents the argument for further investigation.

► This dissertation focuses on two aspects of factor models, testing and forecasting. For testing, we investigate a more general high-dimensional testing problem, with an…
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▼ This dissertation focuses on two aspects of factor models, testing and forecasting. For testing, we investigate a more general high-dimensional testing problem, with an emphasis on panel data models. Specifically, we propose a novel technique to boost the power of testing a high-dimensional vector against sparse alternatives. Existing tests based on quadratic forms such as the Wald statistic often suffer from low powers, whereas more powerful tests such as thresholding and extreme-value tests require either stringent conditions or bootstrap to derive the null distribution, and often suffer from size distortions. Based on a screening technique, we introduce a ''power enhancement component", which is zero under the null hypothesis with high probability, but diverges quickly under sparse alternatives. The proposed test statistic combines the power enhancement component with an asymptotically pivotal statistic, and strengthens the power under sparse alternatives. As a byproduct, the power enhancement component also consistently identifies the elements that violate the null hypothesis. Next, we consider forecasting a single time series using many predictors when nonliearity is present. We develop a new methodology called sufficient forecasting, by connecting sliced inverse regression with factor models. The sufficient forecasting correctly estimates projections of the underlying factors and provides multiple predictive indices for further investigation. We derive asymptotic results for the estimate of the central space spanned by these projection directions. Our method allows the number of predictors larger than the sample size, and therefore extends the applicability of inverse regression. Numerical experiments demonstrate that the proposed method improves upon a linear forecasting model. Our results are further illustrated in an empirical study of macroeconomic variables, where sufficient forecasting is found to deliver additional predictive power over conventional methods.

► In every year since 1982, the popular magazine <i>Forbes Magazine </i> has published a list of the 400 wealthiest Americans. That list has attracted…
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▼ In every year since 1982, the popular magazine <i>Forbes Magazine </i> has published a list of the 400 wealthiest Americans. That list has attracted attention from the press and public, but it has been largely ignored by economists, at least in their professional capacities. Although a list published by a popular magazine may seem like a dubious source of data, the magazine's list is arguably the best source of data on the very top of the wealth distribution in the United States. This dissertation is a series of essays that use the magazine's list to study the wealthiest Americans. The essays study inequality between the wealthiest Americans and everyone else, inequality among the wealthiest Americans themselves, and mobility among the wealthiest Americans over time. Taken together, the essays offer insight into some basic empirical facts about a much noticed but little studied group.

► This dissertation uses cooperative and non-cooperative game theory to examine the role of investment (broadly defined) in social organization. It's composed of three chapters.…
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▼ This dissertation uses cooperative and non-cooperative game theory to examine the role of investment (broadly defined) in social organization. It's composed of three chapters. The first chapter examines bidirectional investment in partnerships and characterizes the stable relationships among the benefits players produce and receive, their costs, and their payoffs. The second chapter extends the model of the first chapter to allow for multilateral matching and investment; it shows that many of the results of the bilateral case remain true in the more general case. The third chapter examines investment in social links to secure future help and characterizes the equilibrium network/linking architecture and welfare.

Fisher, J. C. D. (2015). Essays in game theory on investment and social organization. (Thesis). The University of Arizona. Retrieved from http://pqdtopen.proquest.com/#viewpdf?dispub=3688083

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Fisher, James C D. “Essays in game theory on investment and social organization.” 2015. Thesis, The University of Arizona. Accessed November 22, 2018.
http://pqdtopen.proquest.com/#viewpdf?dispub=3688083.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Fisher, James C D. “Essays in game theory on investment and social organization.” 2015. Web. 22 Nov 2018.

Vancouver:

Fisher JCD. Essays in game theory on investment and social organization. [Internet] [Thesis]. The University of Arizona; 2015. [cited 2018 Nov 22].
Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3688083.

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fisher JCD. Essays in game theory on investment and social organization. [Thesis]. The University of Arizona; 2015. Available from: http://pqdtopen.proquest.com/#viewpdf?dispub=3688083

Note: this citation may be lacking information needed for this citation format:Not specified: Masters Thesis or Doctoral Dissertation

► The global crisis has turned the spotlight on the channels of shock transmission across countries, sectors, and markets. Particular emphasis has been placed on…
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▼ The global crisis has turned the spotlight on the channels of shock transmission across countries, sectors, and markets. Particular emphasis has been placed on the role of interconnectedness and systemic vulnerabilities in the crisis propagation. The crisis has also rekindled efforts to re-examine the existing financial stability framework, which in many countries includes financial stability reports published by central banks with the aim to monitor systemic risks. I examine three questions that aim to broaden our understanding of the shock transmission channels during the crisis and the effectiveness of financial stability reports as a risk-monitoring tool: (1) What was driving the shock propagation in international interbank markets? (2) Are nonfinancial firms that operate in countries with banking problems more prone to financial distress? (3) Is there an empirical link between the publication of financial stability reports and financial stability?